Stochastic Volatility Models With Volatility Driven by Fractional Brownian Motions

Communications in Information and Systems
doi 10.4310/cis.2015.v15.n1.a4
Full Text
Abstract

Available in full text

Date
Authors
Publisher

International Press of Boston

Related search

Fractional Cointegration in Stochastic Volatility Models

Econometric Theory
EconomicsEconometricsSocial Sciences
2008English

Solving Asset Pricing Models With Stochastic Volatility

SSRN Electronic Journal
2014English

Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions

Journal of Applied Mathematics
Applied Mathematics
2013English

News Impact Curve for Stochastic Volatility Models

Economics Letters
EconomicsFinanceEconometrics
2013English

Range-Based Estimation of Stochastic Volatility Models

Journal of Finance
AccountingEconomicsEconometricsFinance
2002English

On Efficient Bayesian Inference for Models With Stochastic Volatility

SSRN Electronic Journal
2016English

Stochastic Volatility of Volatility in Continuous Time

SSRN Electronic Journal
2009English

Nonparametric Stochastic Volatility

Econometric Theory
EconomicsEconometricsSocial Sciences
2018English

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Finance and Stochastics
UncertaintyStatisticsFinanceProbability
2007English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy